Here is a simple graph comparing the variation of annual returns for US stocks, US 10-year bonds and US 3-month t-bills. I have included both nominal returns (not adjusted for inflation) and real returns.
Stocks are of course the most risky of the three with both the highest and the lowest returns then comes 10-year bonds and finally t-bills with the smallest but the most consistant returns. However, after 3-month t-bills are adjusted for inflation there are many years you will "lose" money. And in years with deflation, your real return will be larger than the nominal return (i.e. you did better holding stocks in 1933 when you take into account the effects of deflation in that year while 1954 had the highest nominal stock return).
Return Data from Damodaran Online | Updated Data | Historical Returns on Stock Bonds and Bills - United States CPI form Measuring Worth.
Chart created using OmniGraphSketcher; labels added with Adobe Illustrator.
